MRCI's ScenarioSM Study

ScenarioSM Study for July NY Harbor ULSD(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	21	24	26	26	28	29	30	30	30	30	30
Closed Higher	16	14	15	11	12	12	12	13	22	22	17
Exceeded High	13	13	11	9	9	11	9	12	21	18	10
Scenario Percentage	81%	93%	73%	82%	75%	92%	75%	92%	95%	82%	59%
Avg Max Increase	10.43%	7.05%	8.54%	10.25%	10.66%	9.22%	10.75%	12.65%	11.79%	10.45%	9.05%
Max Increase	51.79%	26.41%	26.16%	20.60%	19.67%	21.36%	27.58%	25.97%	41.58%	29.68%	17.24%
Avg Days To Max Increase	16	14	16	21	13	16	12	14	17	16	17
Avg Max Decline	-0.89%	-0.81%	-1.74%	-2.07%	-1.43%	-1.94%	-2.12%	-1.53%	-2.37%	-3.11%	-1.57%
Max Decline	-7.21%	-6.28%	-8.40%	-4.74%	-8.27%	-7.42%	-6.29%	-5.57%	-6.96%	-16.05%	-7.53%
Avg Days to Max Decline	10	9	4	13	6	13	6	7	8	8	7
2009 Contract Condition									Yes		Yes
Action									Yes		Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	21	24	26	26	28	29	30	30	30	30	30
Closed Lower	5	10	11	15	16	16	18	17	8	8	13
Penetrated Low	4	6	9	14	13	14	12	12	7	6	12
Scenario Percentage	80%	60%	82%	93%	81%	88%	67%	71%	88%	75%	92%
Avg Max Decline	9.94%	12.38%	11.81%	13.02%	13.81%	13.56%	12.74%	6.47%	7.85%	6.26%	12.55%
Max Decline	22.93%	37.63%	40.47%	38.60%	29.86%	38.04%	35.18%	20.99%	12.60%	9.83%	56.01%
Avg Days To Max Decline	19	22	16	18	19	20	15	13	14	13	14
Avg Max Increase	-3.52%	-2.57%	-1.20%	-2.22%	-1.40%	-3.55%	-1.95%	-2.41%	-2.92%	-4.17%	-2.81%
Max Increase	-8.51%	-11.01%	-5.67%	-5.82%	-7.39%	-11.13%	-6.56%	-11.47%	-5.99%	-8.06%	-9.98%
Avg Days to Max Increase	19	20	7	7	10	8	7	10	7	18	6
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	Yes	Yes	Yes	No		No
High	413.25	354.95	319.50	288.99	229.40	177.10	173.77	150.15	156.14	151.29	168.50
Low	350.03	314.10	269.77	203.35	175.10	133.56	140.00	120.00	120.21	132.44	135.30
Close/Last	350.03	326.04	294.12	217.52	181.66	156.36	148.80	132.53	142.34	136.95	167.76